High-level dependence in time series models
DOI10.1007/S10687-009-0084-8zbMATH Open1226.60079OpenAlexW2008619817WikidataQ102130215 ScholiaQ102130215MaRDI QIDQ650680FDOQ650680
M. Schlather, Claudia Klüppelberg, Vicky Fasen
Publication date: 26 November 2011
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-009-0084-8
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linear modelextremal indexextreme value theoryGARCHnonlinear modelARCHmultivariate regular variationCOGARCHrandom recurrence equationextreme clusterextreme dependence measure[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy-driven+Ornstein-Uhlenbeck+process&go=Go L��vy-driven Ornstein-Uhlenbeck process]
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
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Cited In (10)
- Max-stable processes for modeling extremes observed in space and time
- Joint extremal behavior of hidden and observable time series with applications to GARCH processes
- The extremogram: a correlogram for extreme events
- A Fourier analysis of extreme events
- Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes
- Semiparametric estimation for isotropic max-stable space-time processes
- Storm processes and stochastic geometry
- The realization problem for tail correlation functions
- On the measurement and treatment of extremes in time series
- Extremal dependence measure and extremogram: the regularly varying case
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